Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0529
Annualized Std Dev 0.1961
Annualized Sharpe (Rf=0%) 0.2698

Row

Daily Return Statistics

Close
Observations 5221.0000
NAs 1.0000
Minimum -0.1211
Quartile 1 -0.0047
Median 0.0006
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0058
Maximum 0.1006
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0006
Variance 0.0002
Stdev 0.0124
Skewness -0.2414
Kurtosis 10.0380

Downside Risk

Close
Semi Deviation 0.0090
Gain Deviation 0.0088
Loss Deviation 0.0099
Downside Deviation (MAR=210%) 0.0136
Downside Deviation (Rf=0%) 0.0088
Downside Deviation (0%) 0.0088
Maximum Drawdown 0.5628
Historical VaR (95%) -0.0190
Historical ES (95%) -0.0300
Modified VaR (95%) -0.0184
Modified ES (95%) -0.0305
From Trough To Depth Length To Trough Recovery
2007-10-10 2009-03-09 2013-02-08 -0.5628 1343 355 988
2000-09-05 2002-10-09 2007-04-16 -0.4964 1660 525 1135
2020-02-20 2020-03-23 2020-08-18 -0.3490 126 23 103
2018-09-21 2018-12-24 2019-07-01 -0.2062 194 65 129
2015-06-24 2016-02-11 2016-07-14 -0.1579 267 161 106

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2000 NA NA NA NA NA -0.1 0 0.3 -0.6 -0.9 0.8 -0.9 -1.3
2001 -0.3 0.1 0.7 1.4 0.5 0.5 0.6 0.5 -0.3 2.6 -0.2 -0.9 5.4
2002 -0.3 1.7 -0.3 0.4 0.3 -1.9 -2.7 0.6 4.4 1.8 -0.5 0.1 3.5
2003 1.2 0.1 -0.1 0.1 1.5 0.2 -1 0.7 2.1 0.6 0.9 0.1 6.7
2004 0 0.9 0.4 -0.9 0.1 -1.1 -0.3 0.3 1.4 0 1.5 -0.1 2.2
2005 0.7 0.6 -0.5 1.2 0.7 0.2 0.1 0.6 0.4 -0.3 1.2 -0.5 4.3
2006 0.2 1 -0.3 -0.6 1.3 0.1 -0.6 0.6 -0.3 -0.6 -0.3 -0.5 0.1
2007 0.8 -0.3 -0.1 0.3 0.4 -0.3 0.6 1 1.3 -2.4 0.8 -0.6 1.4
2008 1.6 -2.6 3.6 1.8 0.2 0.3 -0.4 -1.2 -0.4 1.7 -8.8 1.7 -3
2009 -2.4 -1.9 1.8 0.5 2.8 0.4 0.1 -2.3 -2.5 -2.7 1.2 -1 -6
2010 1.3 1.1 0.7 -1.8 -2 -0.4 0.1 3 0.4 -0.1 2.1 -0.1 4.2
2011 1.7 -1.6 0.4 0.2 -2.2 1.5 -0.5 -1.2 -2.5 -2.7 -0.3 -0.3 -7.3
2012 1 0.8 0.3 0.5 -2.5 2.5 -0.3 0.5 0.2 1.1 0 1.8 5.9
2013 1 0.3 -0.5 -0.9 -1.3 0.9 1.2 -0.6 0.9 0.2 0.2 0.4 1.7
2014 -0.7 0.2 0.8 0 0.2 0.8 -0.3 0.4 -1.4 1.2 -0.8 -0.9 -0.7
2015 -1.4 -0.2 -0.6 1 0.3 0.6 -0.1 -2.9 0.1 -0.4 0.9 -1.1 -4
2016 0.2 2.4 0.6 -0.5 0.2 0.2 -0.2 0 0.7 -1 -0.4 -0.6 1.6
2017 0 1.3 -0.2 0.4 0.8 0.2 0.2 0.2 0.4 0.1 -0.2 -0.5 2.6
2018 0 -1.3 1.3 0.2 1 0.2 -0.1 0.1 0.3 1.2 0.7 0.9 4.5
2019 0.1 0.7 1.2 -0.7 -1.2 0.7 -1 0.1 -1.3 1 -0.4 0.3 -0.7
2020 -1.8 -0.9 -4.4 -2.7 0.6 0.5 0.7 0.8 0.8 -1.6 1.2 0.4 -6.4
2021 1.7 2.4 0 NA NA NA NA NA NA NA NA NA 4.3

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2000-06-16  34.0 SPY    147. -8.20e-3  0.00240   0.0123   0        0.094        NA       NA <NA>     NA    NA       NA
2 2000-06-19  34.6 SPY    148.  1.28e-2  0.0248    0.0324   0.0115   0.103        NA       NA <NA>     NA    NA       NA
3 2000-06-20  34.5 SPY    148. -3.60e-3  0.0023    0.0483  -0.0084   0.107        NA       NA <NA>     NA    NA       NA
4 2000-06-21  34.6 SPY    148. -6.00e-4  0         0.0556  -0.015    0.111        NA       NA <NA>     NA    NA       NA
5 2000-06-22  34.1 SPY    146. -1.50e-2 -0.0171    0.0553  -0.0451   0.103        NA       NA <NA>     NA    NA       NA
6 2000-06-23  33.6 SPY    144. -8.60e-3 -0.0151    0.0294  -0.0598   0.0962       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart